Title :
Cointegration Analysis on the Impact of Dollar Exchange Rate Change to International Oil Prices
Author :
Peng Min ; Sun Yanbin
Author_Institution :
Sch. of Econ. & Manage., Daqing Pet. Inst., Daqing, China
Abstract :
To study the relationship of the international crude oil spot price and U.S. dollar, we carried on root test and cointegration test on the weekly data of international crude oil spot price and U.S. dollar index from 2002 to 2008, and the results show that there exists equilibrium relationship of long-term negative correlation between international crude oil spot price change and the U.S. dollar index; error correction shows that the dollar index´s long-run equilibrium has little effect on short-term fluctuation of international crude oil spot prices; Granger causality test shows that there is a one-way Granger causality between them; impulse response and variance decomposition shows that other factors has a significant effect on the international crude oil spot prices.
Keywords :
crude oil; exchange rates; international trade; pricing; Granger causality test; cointegration analysis; dollar exchange rate; equilibrium relationship; error correction; impulse response; international crude oil spot price; long-term negative correlation; short-term fluctuation; variance decomposition; Analysis of variance; Contracts; Error correction; Exchange rates; Fluctuations; Fuel economy; Impulse testing; Petroleum; Stability; Sun;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301052
